Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 1.36% to 3916.33 points, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, the Northbound 50 Index rose 2.04%, the STAR 50 Index rose 2.81%, the Wind All - A Index rose 1.62%, the Wind A500 Index rose 1.66%, and the CSI A500 Index rose 1.65%. A - share trading volume reached 1.89 trillion yuan, compared with 1.75 trillion yuan the previous day [4]. - **Specific Index Data**: The closing price of the SSE 50 was 3007.2634, with a 1.09% increase and a trading volume of 55.30 billion yuan and a turnover of 1.4727 billion. The CSI 300 had a 1.53% increase and a trading volume of 237.25 billion yuan, and the CSI 1000 closed at 7344.0468, up 1.45% with a trading volume of 348.159 billion yuan [3]. 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the SSE 50, the call option trading volume was 2.27 million contracts, the put option trading volume was 2.54 million contracts, the call option open interest was 3.28 million contracts, and the put option open interest was 3.65 million contracts. For the CSI 300, the call option trading volume was 0.64 million contracts, the put option trading volume was 14.26 million contracts, the call option open interest was 6.20 million contracts, and the put option open interest was 9.40 million contracts. For the CSI 1000, the call option trading volume was 20.38 million contracts, the put option trading volume was 11.42 million contracts, the call option open interest was 8.97 million contracts, and the put option open interest was 12.36 million contracts [3]. - **PCR**: The SSE 50's trading volume PCR was 0.87, and the open - interest PCR was 0.69. The CSI 300's trading volume PCR was 0.77, and the open - interest PCR was 0.806. The CSI 1000's trading volume PCR was 0.79, and the open - interest PCR was 0.94 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone for the SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value at different time points [3][4]. - **Volatility Smile Curve**: It also presents the volatility smile curves for the next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating in the given content. 2. Core View of the Report - The report presents a daily data analysis of stock index options, including the performance of major stock indexes, trading volume, turnover, and volatility analysis of上证50, 沪深300, and 中证1000 [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: The Shanghai Composite Index rose 1.22% to 3912.21 points, the Shenzhen Component Index rose 1.73%, the ChiNext Index rose 2.36%, the Beixin 50 rose 1.62%, the Kechuang 50 rose 1.4%, the Wind All - A rose 1.49%, the Wind A500 rose 1.54%, and the CSI A500 rose 1.51%. A - shares traded 2.09 trillion yuan throughout the day, compared with 2.6 trillion yuan the previous day [5]. - **Index Trading Details**: For 上证50, the trading volume was 1571.06 billion, the closing price was 3001.3489, the increase was 1.36%, and the turnover was 4606.2879 billion yuan; for 沪深300, the trading volume was 284.77 billion, the increase was 1.48%, and the closing price was 4037.98; for 中证1000, the trading volume was 7483.449 billion, the increase was 1.50%, and the turnover was 244.85 billion yuan [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: For 上证50, the call option trading volume was 7.77 million, the put option trading volume was 5.50 million, the call option open interest was 3.39 million, and the put option open interest was 1.98 million; for 沪深300, the call option trading volume was 11.08 million, the put option trading volume was 20.11 million, the call option open interest was 10.61 million, and the put option open interest was 9.51 million; for 中证1000, the call option trading volume was 0.94 million, the put option trading volume was 42.12 million, the call option open interest was 14.73 million, and the put option open interest was 15.04 million [3]. - **PCR (Put - Call Ratio)**: The trading volume PCR for 上证50 was 0.70, for 沪深300 was 0.90, and for 中证1000 was 0.98; the open interest PCR for 上证50 was 0.56, for 沪深300 was 0.90, and for 中证1000 was 0.98 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cones of 上证50, 沪深300, and 中证1000, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the volatility for different periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]. - **Volatility Smile Curve**: The report also presents the next - month at - the - money implied volatility smile curves for 上证50, 沪深300, and 中证1000 [3][4].

Report Industry Investment Rating - No relevant content provided Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4] Summary by Directory Market Review - **Index Performance**: The Shanghai Composite Index fell 0.19% to 3889.5 points, the Shenzhen Component Index fell 0.93%, the ChiNext Index fell 1.11%, the Northbound 50 Index fell 1.29%, the Science and Technology Innovation 50 Index rose 1.4%, the Wind All - A Index fell 0.35%, the Wind A500 Index fell 0.5%, and the CSI A500 Index fell 0.49%. A - share trading volume was 2.37 trillion yuan, down from 2.53 trillion yuan the previous day [4] - **Index Details**: The closing price of the SSE 50 was 2967.206, down 0.26%, with a turnover of 70.16 billion yuan and a trading volume of 1.85783 billion; the CSI 300 closed at 7140.02, down 0.50%, with a turnover of 315.01 billion yuan and a trading volume of 45.939785 billion; the CSI 1000 closed at 7519.7636, down 0.19%, with a turnover of 470.991 billion yuan and a trading volume of 28.84 billion [3] CFFEX Stock Index Options Trading - **Trading Volume and Open Interest**: For the SSE 50, the trading volume of call options was 3.79 million, put options 7.72 million, with a trading volume PCR of 0.72; the open interest of call options was 6.46 million, put options 2.67 million, with an open interest PCR of 0.41. For the CSI 300, the trading volume of call options was 22.43 million, put options 19.79 million, with a trading volume PCR of 0.88; the open interest of call options was 10.54 million, put options 9.25 million, with an open interest PCR of 0.88. For the CSI 1000, the trading volume of call options was 23.21 million, put options 29.23 million, with a trading volume PCR of 1.26; the open interest of call options was 14.72 million, put options 14.51 million, with an open interest PCR of 0.99 [3] Volatility Analysis - **SSE 50**: Historical volatility and volatility smile curves are presented, with the current historical volatility value shown in the historical volatility cone [3][4] - **CSI 300**: Similar to the SSE 50, historical volatility and volatility smile curves are provided [3][4] - **CSI 1000**: Historical volatility and volatility smile curves are also presented [3][4]

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Date: October 13, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Performance Index Performance - The Shanghai Composite Index dropped 0.94% to 3,897.03 points, the Shenzhen Component Index fell 2.7%, the ChiNext Index declined 4.55% (the second - highest decline this year), the Northbound 50 dropped 1.24%, the Science and Technology Innovation 50 fell 5.61%, the Wind All - A dropped 1.64%, the Wind A500 fell 2.08%, and the CSI A500 fell 2.29% [4] - A - share trading volume was 2.53 trillion yuan, compared with 2.67 trillion yuan the previous day [4] Specific Index Data | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Turnover (billion) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 2,974.8535 | - 1.51 | 67.28 | 4,616.8341 | | CSI 300 | - | - 1.97 | 7927.43 | 319.02 | | CSI 1000 | - | - 1.49 | 4857.04 | 290.43 | [3] Group 3: CFFEX Stock Index Option Trading Option Volume | Index | Call Option Volume (million) | Put Option Volume (million) | Total Volume (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Total Open Interest (million) | Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 3.67 | 5.67 | 9.34 | 2.00 | 7.65 | 9.65 | 1.54 | 3.825 | | CSI 300 | 11.29 | 8.11 | 19.40 | 10.20 | 9.05 | 19.25 | 0.72 | 0.89 | | CSI 1000 | 15.71 | 15.22 | 30.94 | 14.65 | 14.43 | 29.08 | 0.97 | 0.98 | [3] Group 4: Volatility Analysis Historical Volatility - The report provides historical volatility and historical volatility cones for SSE 50, CSI 300, and CSI 1000, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, as well as 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values [3][4] Volatility Smile Curve - The report shows the next - month at - the - money implied volatility smile curves for SSE 50, CSI 300, and CSI 1000 [3][4]

Market Overview - A-shares fluctuated lower, with the ChiNext Index falling more than 2% and breaking below 3,200 points. Technology stocks pulled back across the board. The Shanghai Composite Index closed down 0.65% at 3,828.11 points, the Shenzhen Component Index fell 1.76%, the ChiNext Index dropped 2.6%, the BeiZheng 50 declined 1.81%, the KeChuang 50 decreased 1.6%, the Wind All A fell 1.2%, the Wind A500 dropped 1%, and the CSI A500 declined 1.14%. The total trading volume of A-shares throughout the day was 2.17 trillion yuan, compared with 2.39 trillion yuan the previous day [5] Index Performance Index Trading Volume and Price | Index | Turnover (billion yuan) | Trading Volume (billion) | Closing Price | Change (%) | | --- | --- | --- | --- | --- | | SSE 50 | 150.188 | 29.410184 | 5,987.24 | -0.40 | | CSI 300 | 455.00487 | 2.0848 | 7,397.5894 | -0.95 | | CSI 1000 | - | 43.6863 | - | -1.45 | [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.85 | 1.83 | 0.64 | 2.78 | 1.02 | 0.37 | | CSI 300 | 6.05 | 4.59 | 0.76 | 8.20 | 9.42 | 1.15 | | CSI 1000 | 28.25 | 13.64 | 0.48 | 14.61 | 13.51 | 0.92 | [3] Volatility Analysis SSE 50 Volatility - Historical volatility and historical volatility cone data are presented, along with the volatility smile curve and next-month at-the-money implied volatility [3][4] CSI 300 Volatility - Historical volatility and historical volatility cone data are provided, as well as the volatility smile curve and next-month at-the-money implied volatility [3][4] CSI 1000 Volatility - Historical volatility and historical volatility cone data are shown, along with the volatility smile curve and next-month at-the-money implied volatility [3][4]

Market Performance - The Shanghai Composite Index dropped 0.01% to 3853.3 points, the Shenzhen Component Index rose 0.67%, the ChiNext Index rose 1.58%, the North Securities 50 Index fell 1.37%, the Science and Technology Innovation 50 Index rose 1.24%, and the Wind All - A Index rose 0.17% [5] - The Wind A500 rose 0.54% and the CSI A500 rose 0.71%. A - shares had a full - day trading volume of 2.39 trillion yuan, compared with 2.35 trillion yuan the previous day [7] Index Data Index Quotes | Index | Closing Price | Trading Volume (Billion) | Turnover (Billion Yuan) | Increase/Decrease (%) | | --- | --- | --- | --- | --- | | SSE 50 | 2952.7352 | 1586.67 | 54.32 | 0.45 | | CSI 300 | 4593.4875 | 0.60 | 6698.67 | - 0.37 | | CSI 1000 | 4647.45 | - | - | - | [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | Option Volume (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | Open Interest (Million Contracts) | Volume PCR | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.57 | 2.45 | 6.66 | 4.06 | 2.59 | 6.65 | 0.64 | 0.64 | | CSI 300 | 13.42 | 8.03 | 21.45 | 17.04 | 8.03 | 25.07 | 0.89 | 0.47 | | CSI 1000 | 22.91 | 12.69 | 35.6 | 13.28 | 10.22 | 23.5 | 0.81 | 0.77 | [3] Volatility Analysis - The report presents historical volatility and historical volatility cones, as well as volatility smile curves for SSE 50, CSI 300, and CSI 1000, including data such as minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values for different time - periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core Viewpoints - The report presents a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility analysis of major indices such as SSE 50, CSI 300, and CSI 1000 [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - SSE 50 closed at 1632.61, with a turnover of 6038.87 billion yuan and a trading volume of 2909.7442 million, down 0.11% [3]. - CSI 300 closed at 4501.9195, with a turnover of 4832.03 billion yuan and a trading volume of 7438.1887 million, up 0.08% [3]. - CSI 1000 had a turnover of 295.90 billion yuan, down 0.51% [3]. - Shanghai Composite Index rose 0.04% to 3861.87 points, Shenzhen Component Index rose 0.45%, ChiNext Index rose 0.68%, North - 50 Index rose 0.63%, STAR 50 Index rose 1.32%, Wind All - A Index rose 0.48%, Wind 4500 fell 0.1%, and CSI A500 rose 0.03%. A - shares traded 2.37 trillion yuan throughout the day, compared with 2.3 trillion yuan the previous day [5]. 3.2 CFFEX Stock Index Options Trading Situation | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Volume PCR | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 6.21 | 3.70 | 0.68 | 5.56 | 3.47 | 0.60 | | CSI 300 | 18.87 | 7.40 | 0.65 | 13.71 | 7.88 | 0.74 | | CSI 1000 | 46.29 | 24.95 | 0.86 | 22.15 | 11.43 | 0.94 | [3] 3.3 Volatility Analysis - **SSE 50 Volatility**: Analyzed historical volatility and historical volatility cone, and presented the next - month at - the - money implied volatility curve [3][4]. - **CSI 300 Volatility**: Analyzed historical volatility and historical volatility cone, and presented the next - month at - the - money implied volatility curve [4]. - **CSI 1000 Volatility**: Analyzed historical volatility and historical volatility cone, and presented the next - month at - the - money implied volatility curve [4].

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: September 16, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - The closing price of the Shanghai Stock Exchange 50 Index was 1456.98, with a decline of 0.20% and a trading volume of 296.26154 billion yuan [3]. - The closing price of the CSI 300 Index was 4533.0557, with an increase of 0.24% and a trading volume of 613.315 billion yuan [3]. - The closing price of the CSI 1000 Index was 7415.5711, with a decline of 0.10% and a trading volume of 475.105 billion yuan [3]. Overall Market Conditions - The Shanghai Composite Index fell 0.26% to 3860.5 points, the Shenzhen Component Index rose 0.63%, the ChiNext Index rose 1.51%, the Beijing Stock Exchange 50 Index rose 0.38%, the Science and Technology Innovation 50 Index rose 0.18%, the Wind All - A Index rose 0.09%, the Wind A500 rose 0.22%, and the CSI A500 rose 0.3% [5]. - The total A - share trading volume for the day was 2.3 trillion yuan, compared to 2.55 trillion yuan the previous day [5]. CFFEX Stock Index Options Trading Situation Option Trading Volume - For the Shanghai Stock Exchange 50 Index options, the trading volume of call options was 2.71 million contracts, and that of put options was 3.77 million contracts, with a trading volume PCR of 0.51 [3]. - For the CSI 300 Index options, the trading volume of call options was 8.63 million contracts, and that of put options was 0.55 million contracts, with a trading volume PCR of 0.83 [3]. - For the CSI 1000 Index options, the trading volume of call options was 25.04 million contracts, and that of put options was 13.62 million contracts, with a trading volume PCR of 0.84 [3]. Option Open Interest - For the Shanghai Stock Exchange 50 Index options, the open interest of call options was 9.71 million contracts, and that of put options was 4.08 million contracts, with an open interest PCR of 0.64 [3]. - For the CSI 300 Index options, the open interest of call options was 12.77 million contracts, and that of put options was 10.58 million contracts, with an open interest PCR of 0.83 [3]. - For the CSI 1000 Index options, the open interest of call options was 35.62 million contracts, and that of put options was 18.56 million contracts, with an open interest PCR of 1.09 [3]. Volatility Analysis Shanghai Stock Exchange 50 Index Volatility - Historical volatility and historical volatility cone are presented, along with the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 300 Index Volatility - Historical volatility and historical volatility cone are shown, as well as the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 1000 Index Volatility - Historical volatility and historical volatility cone are provided, together with the volatility smile curve and next - month at - the - money implied volatility [3][4].

股指期权数据日报 投资咨询业务资格:证监许可【2012】31号 投资咨询号:Z0000116 国贸期货研究院 2025/9/15 金融衍生品中心 李泽矩 从业资格号:F0251925 数据来源: Wind,国资期货财资 Time to Matutity 行情回顾 成交额(亿元) 成交量(亿) 收盘价 涨跌幅(%) 指数 2968. 5397 1774.53 61. 71 上证50 -0. 49 -0. 57 6895. 76 266. 44 沪深300 4521. 998 中证1000 7422. 8844 0. 31 5088. 28 315. 84 中金所股指期权成交情况 期权成交量 认洁期权 持仓量 认购期权 期权持企量 认购期权 日成交量 认洁期权 指数 持仓量 持仓量 (万张) 成交量 成交量 (万张) PCR PCR 3.75 上证50 5. 76 0. 39 9. 35 0. 67 1. 62 5. 60 4. 14 沪深300 10. 32 22. 96 5. 17 0. 50 12. 50 0. 84 15. 49 10. 45 中证1000 22. 25 38. 00 15. 75 0. ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号:Z0000116 国贸期货研究院 2025/9/11 金融衍生品中心 李泽矩 从业资格号:F0251925 数据米源: Wind,因资期货研究 Time to Matutity 行情回顾 成交量(亿) 收盘价 涨跌幅(%) 成交额(亿元) 指数 2939. 5911 0. 37 1338. 02 56. 40 上证50 203. 60 4445. 3649 0. 21 5355. 39 沪深300 252. 67 中证1000 7230. 1678 0. 06 3961. 05 中金所股指期权成交情况 持仓量 期权成交量 认购期权 认洁期权 期权持企量 认购期权 日成交量 认洁期权 指数 持仓量 持仓量 (万张) 成交量 成交量 PCR (万张) PCR 上证50 2. 54 5.72 3. 84 1. 30 3.69 0. 65 0. 51 9. 41 7. 43 沪深300 22. 93 11. 94 4. 51 0. 61 12. 65 10. 28 0. 81 中证1000 30. 11 16. 60 13. 51 35. 2 ...